Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 2 | 2 | 2 |
| Score | -3.3 | -3.18 | -4.01 |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 0.24 | 0.24 | 0.24 |
| Idiosyncratic Volatility | 1.05 | 1.27 | 1.51 |
Annualized return and volatility
| DEMIX | |
|---|---|
| Annualized Return | 0.0941 |
| Annualized Std Dev | 0.2055 |
| Annualized Sharpe (Rf=0%) | 0.4577 |
Row
Daily Return Statistics
| DEMIX | |
|---|---|
| Observations | 5111.0000 |
| NAs | 2.0000 |
| Minimum | -0.1197 |
| Quartile 1 | -0.0050 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0067 |
| Maximum | 0.1357 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0129 |
| Skewness | -0.1343 |
| Kurtosis | 12.3991 |
Downside Risk
| DEMIX | |
|---|---|
| Semi Deviation | 0.0094 |
| Gain Deviation | 0.0091 |
| Loss Deviation | 0.0104 |
| Downside Deviation (MAR=210%) | 0.0139 |
| Downside Deviation (Rf=0%) | 0.0092 |
| Downside Deviation (0%) | 0.0092 |
| Maximum Drawdown | 0.6315 |
| Historical VaR (95%) | -0.0190 |
| Historical ES (95%) | -0.0312 |
| Modified VaR (95%) | -0.0181 |
| Modified ES (95%) | -0.0219 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2011-01-03 | -0.6315 | 814 | 273 | 541 |
| 2014-09-04 | 2016-02-11 | 2017-05-11 | -0.4026 | 688 | 370 | 318 |
| 2000-02-14 | 2001-09-21 | 2003-08-20 | -0.3833 | 899 | 409 | 490 |
| 2011-05-02 | 2011-10-03 | 2013-10-11 | -0.3261 | 626 | 109 | 517 |
| 2018-01-29 | 2018-12-24 | NA | -0.2708 | 489 | 233 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | DEMIX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 0.0 | 1.1 | 0.0 | 0.0 | 0.4 | 0.0 | -0.1 | 0.1 | 0.0 | 1.4 | 1.2 | 0.0 | 4.1 |
| 2001 | 0.4 | 0.1 | 0.0 | 0.4 | 0.1 | 0.0 | 0.4 | 0.0 | -0.6 | 0.6 | 0.0 | 0.0 | 1.4 |
| 2002 | -0.4 | 1.9 | 0.4 | 0.1 | 0.0 | 0.0 | -0.1 | 0.0 | 2.0 | 1.3 | 0.0 | 0.0 | 5.2 |
| 2003 | 0.0 | 0.0 | 0.6 | 0.1 | 0.0 | 0.8 | 0.0 | 0.0 | 1.8 | 0.0 | 1.4 | 0.0 | 4.9 |
| 2004 | 0.0 | 1.4 | 0.6 | 0.0 | 0.0 | 0.1 | 0.0 | 0.5 | 1.5 | 0.5 | 1.0 | 0.0 | 5.7 |
| 2005 | 0.2 | -0.3 | 0.5 | 0.0 | 0.1 | 0.3 | 0.7 | 1.2 | 0.0 | 1.2 | 0.7 | 0.0 | 4.7 |
| 2006 | -0.1 | 1.3 | 0.0 | 0.1 | 1.3 | 0.0 | -0.6 | 1.2 | 0.0 | -0.1 | 0.0 | 0.0 | 3.2 |
| 2007 | 1.3 | -1.3 | 0.0 | 0.2 | 1.4 | 0.0 | -1.6 | 0.0 | 2.5 | -3.2 | 0.0 | 0.0 | -0.8 |
| 2008 | 2.2 | 0.0 | 2.9 | 0.5 | 0.0 | -1.6 | -0.9 | 0.0 | -0.5 | 0.0 | -7.1 | 0.0 | -4.8 |
| 2009 | 0.0 | 0.0 | 0.0 | 2.8 | 4.6 | 1.7 | 0.0 | -1.7 | -2.0 | 0.0 | 2.9 | 0.0 | 8.5 |
| 2010 | 1.5 | 1.4 | 1.8 | 0.0 | -1.4 | -0.4 | 0.0 | 2.6 | 0.8 | 0.7 | 2.5 | 0.0 | 9.8 |
| 2011 | 1.8 | -0.9 | 1.6 | 0.0 | -1.6 | 1.2 | 0.2 | -0.4 | 0.0 | -2.8 | 0.7 | 0.0 | -0.3 |
| 2012 | 1.7 | 0.0 | 0.0 | -0.2 | -2.1 | 0.0 | -0.1 | 0.0 | 0.6 | 1.6 | 0.0 | 0.0 | 1.4 |
| 2013 | 0.9 | 0.2 | -0.5 | -0.9 | 0.0 | 0.4 | 1.0 | 0.0 | 1.3 | -0.3 | 0.0 | 0.0 | 2.2 |
| 2014 | 0.0 | 0.0 | 1.0 | 0.6 | 0.0 | 0.5 | -0.4 | 0.0 | -2.1 | 0.0 | -2.2 | 0.0 | -2.6 |
| 2015 | 0.0 | 0.0 | 1.3 | 0.3 | 0.6 | -0.8 | 0.0 | -2.6 | 0.0 | 0.0 | 0.7 | 0.0 | -0.6 |
| 2016 | -0.5 | 2.9 | -0.5 | 0.0 | -0.3 | 0.8 | 0.1 | 0.0 | 0.0 | -1.0 | -1.9 | 0.0 | -0.5 |
| 2017 | 0.4 | 1.1 | 0.0 | 0.2 | 0.2 | 0.0 | 0.3 | 0.8 | 0.0 | 1.2 | -0.7 | 0.0 | 3.6 |
| 2018 | -0.4 | -0.7 | 0.0 | -0.3 | 1.4 | 0.0 | -0.3 | 0.0 | -0.4 | 2.5 | 0.0 | 0.0 | 1.8 |
| 2019 | 0.1 | 0.4 | 1.7 | -0.3 | 0.0 | 1.5 | -1.3 | 0.0 | -1.0 | 1.5 | 0.0 | 0.1 | 2.7 |
Row
Rolling Performance Chart
Snail Trail Chart
